New York University, Leonard N. Stern School Finance Department Working Paper Seires

From New York University, Leonard N. Stern School of Business-
U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126.
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98-042: Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation

Joel Hasbrouck

98-041: The Dynamics of Discrete Bid and Ask Quotes

Joel Hasbrouck

98-040: Has International Financial Integration Increased?

Lawrence G. Goldberg, James Lothian and John Okunev

98-039: De Novo Banks and Lending to Small Businesses: An Empirical Analysis

Lawrence G. Goldberg and Lawrence White

98-038: Where Does the Money Come From? The Financing of Small Entrepreneurial Enterprises

Zsuzsanna Fluck, Douglas Holtz-Eakin and Harvey Rosen

98-037: The Dynamics of the Management-Shareholder Conflict

Zsuzsanna Fluck

98-036: Why Do firms Merge and Then Divest: A Theory of Financial Synergy

Zsuzsanna Fluck and Anthony Lynch

98-035: Control Rights and Maturity: The Design of Debt, Equity, and Convertible Securities

Zsuzsanna Fluck

98-034: Privatization with Political Constraint: Auctions versus Private Negotiations

Zsuzsanna Fluck, Kose John and S. Abraham Ravid

98-033: Derivatives Risks, Old and New

Stephen Figlewski

98-032: The Adaptive Mesh Model: A New Approach to Efficient Option Pricing

Stephen Figlewski and Bin Gao

98-031: Testing the Volatility Term Structure using Option Hedging Criteria

Robert Engle and Joshua Rosenberg

98-029: Tax and Liquidity Effects in Pricing Government Bonds

Edwin J. Elton and T. Clifton Green

98-028: Do Investors Care About Sentiment?

Edwin J. Elton, Martin J. Gruber and Jeffrey A. Busse

98-027: Common Factors in Mutual Fund Returns

Edwin J. Elton, Martin J. Gruber and Christopher R. Blake

98-026: Modern Portfolio Theory, 1950 to Date

Edwin J. Elton and Martin J. Gruber

98-025: Youth, Adolescence, and Maturity of Banks: Credit Availability to Small Business in an Era of Banking Consolidation

Robert DeYoung, Lawrence G. Goldberg and Lawrence White

98-024: Of Smiles and Smirks: A Term-Structure Perspective

Sanjiv Das and Rangarajan K. Sundaram

98-023: Organizational Form Changes: Increasing Stockholder Wealth or Serving Managerial Interests?

Aswath Damodaran, Kose John and Crocker H. Liu

98-022: Cookie-Cutter versus Character: The Micro Structure of Small Business Lending by Large and Small Banks

Rebel Cole, Lawrence G. Goldberg and Lawrence White

98-021: Debt, Investment, and Product Market Competition

Matthew J. Clayton

98-020: Cross Holding and Imperfect Product Markets

Matthew J. Clayton and Bjørn Jørgensen

98-019: The Effect of Leverage on Bidding Behavior: Theory and Evidence from the FCC Auctions

Matthew J. Clayton and S. Abraham Ravid

98-018: Asymmetric Information, Corporate Myopia and Implications for Capital Gain Tax Rates

Thomas Chemmanur and S. Abraham Ravid

98-017: The Exercise and Valuation of Executive Stock Options

Jennifer N. Carpenter

98-014: Hedge Funds and the Asian Currency Crisis of 1997

Stephen Brown, William Goetzmann and James M. Park

98-013: The Dow Theory: William Peter Hamilton's Track Record Re-Considered

Stephen Brown, William Goetzmann and Alok Kumar

98-012: The Japanese Open-End Fund Puzzle

Stephen Brown, William Goetzmann, Takato Hiraki, Toshiyuki Otsuki and Noriyoshi Shiraishi

98-011: Offshore Hedge Funds: Survival & Performance 1989-1995

Stephen Brown, William Goetzmann and Roger G. Ibbotson

98-010: Altering the Terms of Executive Stock Options

Menachem Brenner, Rangarajan K. Sundaram and David Yermack

98-009: No-Arbitrage Option Pricing: New Evidence on the Validity of the Martingale Property

Menachem Brenner and Young Ho Eom

98-008: Causes and Effects of Corporate Refocusing Programs

Philip G. Berger and Eli Ofek

98-007: The Effects of Bank Mergers and Acquisitions on Small Business Lending

Allen Berger, Anthony Saunders, Joseph M. Scalise and Gregory Udell

98-006: Optimal Retention in Principal/Agent Models

Jeffrey Banks and Rangarajan K. Sundaram

98-005: Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

Pierluigi Balduzzi, Edwin J. Elton and T. Clifton Green

98-004: Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange

Yakov Amihud, Haim Mendelson and Beni Lauterbach

98-003: Credit Risk Measurement and Management: The Ironic Challenge in the Next Decade

Edward Altman

98-002: Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives

George Allayannis and Eli Ofek

98-001: Optimal Risk Management Using Options

Dong-Hyun Ahn, Jacob Boudoukh, Matthew Richardson and Robert F. Whitelaw

97-11: The Optimal Dynamic Investment Policy for a Fund Manager Compensated with an Incentive Fee

Jennifer Carpenter

97-10: The Exercise and Valuation of Executive Stock Options

Jennifer Carpenter

97-9: State-Contingent Bank Regulation

Sabitha Nagarajan and C. W. Sealey

97-8: Can Delegating Bank Regulation to Market Forces Really Work?

Sabitha Nagarajan and C. W. Sealey

97-7: Design of Efficient Bankruptcy Mechanisms

Sabitha Nagarajan

97-6: Efficient Security Design: Theory and Application

Sabitha Nagarajan

97-5: Are Financial Corners and Short Squeezes Inefficient?

Sabitha Nagarajan

97-4: Common Factors in Mutual Fund Returns

Edwin J. Elton, Martin J. Gruber and Christopher R. Blake

97-3: Modern Portfolio Theory, 1950 to Date

Edwin J. Elton and Martin J. Gruber

97-2: Tax and Liquidity Effects in Pricing Government Bonds

Edwin J. Elton and T. Clifton Green

97-1: The Effects of Bank Mergers and Acquisitions on Small Business Lending

Allen Berger, Anthony Saunders, Joseph M. Scalise and Gregory Udell